You can .... wait for it... make a colored link ;):
http://kitchingroup.cheme.cmu.edu/blog/2016/11/04/New-link-features-in-org-9/#org1bc1061
The example there has an html export defined, but you could as easily define a latex exporter. It has some limitations, like it might not reliably work on multiple lines, and you would not want to "highlight" across elements (or the latex will get ugly and probably not work).
I can't say I am fully satisified by any of these solutions (that is why there are so many of them ;)